Golden Butterfly
Portfolio Specification
Assets
Policy
| Rebalancing Interval | Quarterly |
|---|---|
| Weights Algorithm | Equal Weights |
Benchmark
Portfolio Description
The Golden Butterfly portfolio is based on the construction shown over at Risk Parity Chronicles as part of their suite of test portfolios. It’s intended as a portfolio that can keep up with a classic 60-40 portfolio at a fraction of the risk. The five-asset equal-weight construction makes this an approachable, low-maintenance portfolio for the masses.
It’s worth noting the U.S. and small-cap biased equity allocation may drive tracking error against a global market cap benchmark.
Policy Report
Backtest Report
From to (6y 10m 9d)
Returns (annualized)
| Portfolio | 7.47% |
| Benchmark | 6.87% |
Risk (annualized)
| Portfolio | 9.85% |
| Benchmark | 11.84% |
Sharpe (annualized)
| Portfolio | 0.53 |
| Benchmark | 0.41 |
Excess Return (annualized)
| 0.59% |
Tracking Error (annualized)
| 5.93% |
Information Ratio
| 0.10 |
| Statistic | Portfolio | Benchmark |
|---|---|---|
| Downside Volatility | 10.25% | 12.68% |
| Sortino Ratio | 0.51 | 0.39 |
| Calmar Ratio | 0.27 | 0.22 |
| Ulcer Index | 15.23 | 15.16 |
| Max Drawdown | 19.10% | 22.16% |
| VaR (99% Confidence) | $-2,289 | $-2,754 |
| VaR (99.9% Confidence) | $-3,041 | $-3,658 |
| Beta to Benchmark | 0.72 | N/A |
Value at Risk (VaR) is calculated off a $10,000 portfolio value.
Growth Charts
Historical Weights
Return Distribution
Excess Kurtosis
| 6.51 |
Skew
| -0.28 |
Data Table
| Factor | Portfolio | Benchmark |
|---|---|---|
| Duration Factor | 0.5859 | 0.5859 |
| Inflation Factor | 0.1083 | 0.1083 |
| Market Factor | 0.4188 | 0.4188 |
| Size Factor | 0.2224 | 0.2224 |
| U.S. Tilt (Non U.S.) | 0.0710 | 0.0710 |
| Yield Curve Factor | 0.0480 | 0.0480 |
Adjusted R2
| Portfolio | 0.91 |
| Benchmark | 0.99 |
Intercept
| Portfolio | 0.00 |
| Benchmark | 0.00 |